Although I have been unable to obtain any detailed information on him, Lieutenant H. E. Allen must have been stationed in Gibraltar during the 1830s.He was a member of the Royal Engineers as well as an accomplished artist. Four of his more well-known pictures were used as engravings in the Reverend G. N. Wright's - The Shores and Islands of the Mediterranean which was published in 1840. (See LINK)

However, he also produced more than a dozen watercolours depicting various scenes on the Rock. Some of these are shown below. All are dated c1835.

The siege referred to is the Great Siege. (See LINK) The 'ravine' is probably somewhere in the south near the Devil's Gorge. The market was held here because it was probably one of the few places that was relatively safe from the Spanish gunboats.

The Barracks in Windmill Hill from the Inquisition

The 'Inquisition' was the name given to a series of buildings which now no longer exist but were fully described by Thomas James in his History of the Herculean Straits. (See LINK)